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- 2450325 A credit portfolio framework under dependent risk parameters: probability of default, loss given default and exposure at default
by Johanna Eckert & Kevin Jakob & Matthias Fischer
- 2450327 Contingent credit default swaps: accurate and approximate pricing
by Christian Koziol & Thomas Schön
- 2450342 Market pricing of credit linked notes: the influence of the financial crisis
by Matthias Walter & Björn Häckel & Andreas Rathgeber
- 2450345 A framework for market, credit and transfer risk aggregation and stress testing
by Simone Farinelli
- 2454150 Fitting a distribution to value-at-risk and expected shortfall, with an application to covered bonds
by Dirk Tasche
- 2456243 The double default value-of-the-firm model
by C. Gourieroux & A. Monfort
- 2459936 A bond consistent derivative fair value
by Johan Gunnesson & Alberto Fernández Muñoz de Morales
- 2460642 The application of credit risk models to macroeconomic scenario analysis and stress testing
by Jimmy Skoglund & Wei Chen
- 2465626 The impact of loan-to-value on the default rate of residential mortgage-backed securities
by Luis Otero González & Pablo Durán Santomil & Milagros Vivel Búa & Rubén Lado Sestayo
- 2466583 Estimating credit risk parameters using ensemble learning methods: an empirical study on loss given default
by Han Sheng Sun & Zi Jin
- 2466664 Modeling joint defaults in correlation-sensitive instruments
by Juliusz Jabłecki & Dariusz Gątarek
- 2468102 Modeling corporate customers’ credit risk considering the ensemble approaches in multiclass classification: evidence from Iranian corporate credits
by Parastoo Rafiee Vahid & Abbas Ahmadi
- 2472206 Modeling the current loan-to-value structure of mortgage pools without loan-specific data
by Peter Palmroos
- 2474214 Further investigation of parametric loss given default modeling
by Phillip Li & Min Qi & Xiaofei Zhang & Xinlei Zhao
- 2474222 Financial and nonfinancial variables as long-horizon predictors of bankruptcy
by Małgorzata Iwanicz-Drozdowska & Erkki K. Laitinen & Arto Suvas & Edward I Altman
- 2474225 Benchmarking the loss given default parameter for mortgage loan portfolios under stress
by Christian Greve & Lutz Hahnenstein
- 2480236 Creditwatches and their impact on financial markets
by Florian Kiesel
- 2480534 Rethinking the margin period of risk
by Leif Andersen & Alexander Sokol & Michael Pykhtin
- 2480535 Financial distress pre-warning indicators: a case study on Italian listed companies
by Francesco De Luca & Enrica Meschieri
- 3937681 Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
by Florian Kaposty & Matthias Löderbusch & Jakob Maciag
- 5294931 Portfolio credit risk model with extremal dependence of defaults and random recovery
by Jong-June Jeon & Sunggon Kim & Yonghee Lee
- 5294956 Primary-firm-driven portfolio loss
by Stuart M Turnbull
- 5294986 Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
by Peter Miu & Bogie Ozdemir
- 5318986 When banks venture beyond home turf: consequences for loan performance
by Yuta Tanoue & Satoshi Yamashita
- 5319626 Reliability and agreement of credit ratings in the Mexican fixed-income market
by Ventura Charlin & Arturo Cifuentes
- 5319646 Addressing probationary period within a competing risks survival model for retail mortgage loss given default
by Richard M. Wood & David Powell
- 5374686 Issuer bias in corporate ratings toward financially constrained firms
by Mohammad (Nazmul) Hasan & Nikunj Kapadia & Akhtar Siddique
- 5376681 A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
by Jakob Maciag & Matthias Löderbusch
- 5376696 Optimal investment and financing with macroeconomic risk and loan guarantees
by Xiaolin Tang & Zhaojun Yang
- 5405191 Nonlinear relationships in a logistic model of default for a high-default installment portfolio
by Christian Lohmann & Thorsten Ohliger
- 5415416 A copula approach to credit valuation adjustment for swaps under wrong-way risk
by Jakub Černý & Jiřà Witzany
- 5429256 Moment estimators for autocorrelated time series and their application to default correlations
by Christoph Frei & Marcus Wunsch
- 5568901 Credit default prediction using a support vector machine and a probabilistic neural network
by Mohammad Zoynul Abedin & Chi Guotai & Sisira Colombage & Fahmida - E - Moula
- 5606541 Consumer risk appetite, the credit cycle and the housing bubble
by Joseph Breeden & José Canals-Cerdá
- 5708816 Modeling dependent risk factors with CreditRisk+
by Xiaohang Zhang & SuBang Choe & Ji Zhu & Jill Bewick
- 5844851 A new model for bank loan loss given default by leveraging time to recovery
by Heng Z. Chen
- 5844881 Default contagion among credit modalities: evidence from Brazilian data
by Michel Alexandre & Giovani A. S. Brito & Theo C. Martins
- 5883336 An empirical study on credit risk management: the case of nonbanking financial companies
by Sunita Mall
- 6045951 Calculating capital charges for sector concentration risk
by Cornelius Kurtz & Eva Lütkebohmert & Julian Sester
- 6129176 Bank risk, bank bailouts and sovereign capacity during a financial crisis: a cross-country analysis
by Rafael Schiozer & Frederico Mourad & Ramon S. Vilarins
- 6201816 A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
by Edward I Altman
- 6201846 Systemic risk in the financial system: capital shortfalls under Brexit, the US elections and the Italian referendum
by Robert Engle & Cristiano Zazzara
- 6403636 Are lenders using risk-based pricing in the Italian consumer loan market? The effect of the 2008 crisis
by Silvia Magri
- 6403806 The influence of firm efficiency on agency credit ratings
by Dafydd Mali & Hyoungjoo Lim
- 6405871 Calibration and mapping of credit scores by riding the cumulative accuracy profile
by Marco van der Burgt
- 6636951 Wrong-way risk of interest rate instruments
by Ramzi Ben-Abdallah & Michèle Breton & Oussama Marzouk
- 6735846 A statistical technique to enhance application scorecard monitoring
by Nico Kritzinger & Gary van Vuuren
- 6743521 A consumer credit risk structural model based on affordability: balance at risk
by Marcelo Perlin & Marcelo Brutti Righi & Tiago P. Filomena
- 6863321 An efficient portfolio loss model
by Christian Fenger
- 6983241 On probability of default and its relation to observed default frequency and a common factor
by Brent Oeyen & Oliver Salazar Celis
- 6983396 Asset correlation estimation for inhomogeneous exposure pools
by Christoph Wunderer
- 7241601 Credit valuation adjustment wrong-way risk in a Gaussian copula model
by Kelin Pan & Chandra Khandrika
- 7241606 Basel risk weight functions and forward-looking expected credit losses
by Vlachostergios Eleftherios
- 7241636 Costs of capital under credit risk
by Peter Reichling & Anastasiia Zbandut
- 7450606 Contagious defaults in a credit portfolio: a Bayesian network approach
by Ioannis Anagnostou & Javier Sanchez Rivero & Sumit Sourabh & Drona Kandhai
- 7516236 A sensitivity analysis of the alpha factor
by Michael Einemann & Michael Kalkbrener
- 7516241 Current expected credit loss procyclicality: it depends on the model
by Joseph L. Breeden & Maxim Vaskouski
- 7560896 Art-secured lending: a risk analysis framework
by Arturo Cifuentes & Ventura Charlin
- 7566491 Covid-19 and the credit cycle
by Edward I Altman
- 7649151 IFRS 9 compliant economic adjustment of expected credit loss modeling
by Mariya Gubareva
- 7668451 Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives
by Nneka Umeorah & Phillip Mashele & Matthias Ehrhardt
- 7689966 A joint model of failures and credit ratings
by Rainer Hirk & Laura Vana & Kurt Hornik & Stefan Pichler
- 7690016 Corporate default risk modeling under distressed economic and financial conditions in a developing economy
by Frank Ranganai Matenda & Mabutho Sibanda & Eriyoti Chikodza & Victor Gumbo
- 7694616 Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options
by Michael Kratochwil
- 7712286 Stress testing household debt
by Neil Bhutta & Jesse Bricker & Lisa Dettling & Jimmy Kelliher & Steven Laufer
- 7712296 The impact of data aggregation and risk attributes on stress testing models of mortgage default
by Feng Li & Yan Zhang
- 7712301 Supervisory bank risk early warning modeling: an examiner’s first line of defense
by Christopher C. Henderson & Shaohui Jia & Charles Mattioli
- 7729081 Bankcard performance during the Great Recession: a consumer-level analysis
by Paul Calem & Julapa Jagtiani & Loretta Mester
- 7729086 The economics of debt collection, with attention to the issue of salience of collections at the time credit is granted
by Erik Durbin & Charles Romeo
- 7729091 The effects of customer segmentation, borrower behaviors and analytical methods on the performance of credit scoring models in the agribusiness sector
by Daniela Lazo & Raffaella Calabrese & Cristián Bravo
- 7729096 From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
by José Canals-Cerdá
- 7853496 Small and medium-sized enterprises that borrow from "alternative" lenders in the United Kingdom: who are they?
by Gabriele Sabato & Edward I Altman & Galina Andreeva
- 7855876 Ensemble methods for credit scoring of Chinese peer-to-peer loans
by Wei Cao & Yun He & Wenjun Wang & Weidong Zhu & Yves Demazeau
- 7857131 Explaining credit ratings through a perpetual-debt structural model
by Gaia Barone
- 7864746 Three ways to improve the systemic risk analysis of the Central and Eastern European region using SRISK and CoVaR
by Marta KaraÅ› & Witold Szczepaniak
- 7864796 Review of credit risk and credit scoring models based on computing paradigms in financial institutions
by Deepika Sharma & Ashutosh Vashistha & Manoj K. Gupta
- 7864801 An interpretable Comprehensive Capital Analysis and Review (CCAR) neural network model for portfolio loss forecasting and stress testing
by Heng Z. Chen
- 7878976 A survey of machine learning in credit risk
by Joseph L. Breeden
- 7881146 Forecasting consumer credit recovery failure: classification approaches
by Hyeongjun Kim & Hoon Cho & Doojin Ryu
- 7902926 Agency problems in multinational banks: does parent complexity affect the risk-taking of subsidiaries?
by Krzysztof Gajewski & Å ukasz Kurowski
- 7902936 Incorporating small-sample defaults history in loss given default models
by Aneta Ptak-Chmielewska & Paweł Kopciuszewski
- 7905131 Does economic policy uncertainty exacerbate corporate financial distress risk?
by Jie Sun & Fangyuan Yin & Edward I Altman & Lewis Makosa
- 7908661 Customer churn prediction for commercial banks using customer-value-weighted machine learning models
by Zongxiao Wu & Zhiyong Li
- 7909321 Covid-19 and the credit cycle: 2020 revisited and 2021 outlook
by Edward I Altman
- 7919806 Bank-sourced transition matrixes: are banks’ internal credit risk estimates Markovian?
by Barbora Štěpánková
- 7921191 A structural credit risk model based on purchase order information
by Suguru Yamanaka & Misaki Kinoshita
- 7925011 On comprehensive balance sheet stress testing and net interest income risk attribution
by Jimmy Skoglund & Wei Chen
- 7925531 The loss optimization of loan recovery decision times using forecast cashflows
by Arno Botha & Conrad Beyers & Pieter de Villiers
- 7951051 How a credit run affects asset correlation
by Christopher Paulus Imanto
- 7952606 Merton’s model with recovery risk
by Albert Cohen & Nick Costanzino
- 7952746 Repo haircuts and economic capital: a theory of repo pricing
by Wujiang Lou
- 7953166 A three-factor hazard rate model for single-name credit default swap pricing
by Yangfan Zhong & Yanhui Mi
- 7953796 Stressed distance to default and default risk
by Nan Guo & LIngfei Li
- 7953986 Generalized additive modeling of the credit risk of Korean personal bank loans
by Young-Ah Kim & Peter G Moffatt & Simon A Peters
- 7954056 Stressing of migration matrixes for International Financial Reporting Standard 9 and Internal Capital Adequacy Assessment Process calculations
by Jiřà Witzany
- 7954116 An effective credit rating method for corporate entities using machine learning
by Hansheng Sun & Roy H. Kwon & Binbin Dai & Pubudu Premawardena
- 7954991 Risks of long-term auto loans
by Zhengfeng Guo & Yan Zhang & Xinlei Zhao
- 7955188 Sovereign probabilities of default in the euro area
by Rainer Jobst
- 7955202 Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
by Kevin Jakob
- 7955228 Dynamic initial margin estimation based on quantiles of Johnson distributions
by Thomas A. McWalter & Jörg Kienitz & Nikolai Nowaczyk & Ralph Rudd & Sarp K. Acar
- 7956230 Calibration alternatives to logistic regression and their potential for transferring the statistical dispersion of discriminatory power into uncertainties in probabilities of default
by Jan Henrik Wosnitza
- 7956241 Dynamic class-imbalanced financial distress prediction based on case-based reasoning integrated with time weighting and resampling
by Jie Sun & Mingyang Sun & Mengru Zhao & Yingying Du
- 7956264 Climate-policy-relevant sectors and credit risk
by Marcin Borsuk
- 7956273 Managerial connections and corporate risk-taking: evidence from the Great Recession
by N. K. Chidambaran & Stefano Manfredonia
- 7956473 Sovereign credit risk modeling using machine learning: a novel approach to sovereign credit risk incorporating private sector and sustainability risks
by Arsh Anand & Bart Baesens & Rosanne Vanpée
- 7956588 Banking on personality: psychometrics and consumer creditworthiness
by Saul Fine
- 7956681 Instabilities in Cox proportional hazards models in credit risk
by Joseph L. Breeden & Anthony Bellotti & Yevgeniya Leonova
- 7956793 Small and medium-sized enterprises’ time to default: an analysis using an improved mixture cure model with time-varying covariates
by Qingli Dong & Guotai Chi
- 7956909 Benchmarking machine learning models to predict corporate bankruptcy
by Emmanuel Alanis & Sudheer Chava & Agam Shah
- 7957313 Default forecasting based on a novel group feature selection method for imbalanced data
by Guotai Chi & Jin Xing & Ancheng Pan
- 7957442 Pricing default risk in stochastic time
by Antti J. Harju
- 7957443 Emulating the Standard Initial Margin Model: initial margin forecasting with a stochastic cross-currency basis
by Christoph M. Puetter & Stefano Renzitti
- 7957482 Understanding and predicting systemic corporate distress: a machine-learning approach
by Burcu Hacibedel & Ritong Qu
- 7958334 The role of a green factor in stock prices: when Fama and French go green
by Ricardo Gimeno & Clara I. González
- 7958338 Nonbanking financial institutions and sustainability issues: empirical evidence on the impact of environmental, social and governance scores on market performance
by Claudia Cannas & Laura Pellegrini & Andrea Roncella
- 7958437 Tail sensitivity of stocks to carbon risk: a sectoral analysis
by Laura Garcia-Jorcano & Juan-Angel Jimenez-Martin & Maria-Dolores Robles
- 7958450 Credit contagion risk in German auto loans
by Arved Fenner & Steffen Vollmar
- 7959240 Characteristics of student loan credit recovery: evidence from a micro-level data set
by Hyeongjun Kim & Hoon Cho & Doojin Ryu
- 7959241 Credit risk management: a systematic literature review and bibliometric analysis
by Payal Kedia & Lokanath Mishra
- 7959271 How do credit rating agencies and bond investors react to credit guarantees? Evidence from China’s municipal corporate bond market
by Wei Zhang & Mu Tong & Yahua Yin & Jingjing Shang
- 7959842 Random survival forests and Cox regression in loss given default estimation
by Aneta Ptak-Chmielewska & Paweł Kopciuszewski
- 7959858 Credit portfolio modeling and pricing using the Poisson binomial distribution
by Bilgi Yilmaz & Alper Hekimoglu
- 7959889 Consumer credit card payment dynamics over the economic cycle
by Christopher H. Wheeler
- 7960421 A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm
by Tinggui Chen & Hailian Gu & Zhiyu Yang & Jianjun Yang & Bing Wang
- 7960424 Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
by Hansheng Sun & Roy H. Kwon
- 7960557 Soft information in financial distress prediction: evidence of textual features in annual reports from Chinese listed companies
by Jiaming Liu & Ming Jia & Peng Ouyang & Chong Wu
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